library(DT)
projectPath <- "/home/william/myCodes/oiRank/"

提取期货公司持仓数据

source(paste0(projectPath,"main.R"))

主力合约的 oiRank

mainContOI
##        TradingDay InstrumentID Rank BrokerID  ClassID Amount DiffAmount        chgAmount
##     1: 2011-01-05       cu1104    1 中证期货 Turnover  13042       3242  0.2485815059040
##     2: 2011-01-05       cu1104    1 中财期货  longPos   6714        110  0.0163836759011
##     3: 2011-01-05       cu1104    1 金瑞期货 shortPos   6712         76  0.0113230035757
##     4: 2011-01-05       cu1104    2 浙江永安 Turnover   8719       3386  0.3883472875330
##     5: 2011-01-05       cu1104    2 上海东亚  longPos   5269        144  0.0273296640729
##    ---                                                                                  
## 89456: 2017-02-24       cu1704   19 兴证期货  longPos   1694        482  0.2845336481700
## 89457: 2017-02-24       cu1704   19 东海期货 shortPos   1241        388  0.3126510878324
## 89458: 2017-02-24       cu1704   20 金瑞期货 Turnover   5483       3033  0.5531643260989
## 89459: 2017-02-24       cu1704   20 中国国际  longPos   1648       -467 -0.2833737864078
## 89460: 2017-02-24       cu1704   20 新湖期货 shortPos   1146       -195 -0.1701570680628

价格数据

dt
##       TradingDay InstrumentID  open  high   low close volume     turnover oiAmount stlPrice longAmount shortAmount
##    1: 2011-01-05       cu1104 71520 71800 70810 71280 238022  84891119933   175530    71330      46966       49882
##    2: 2011-01-06       cu1104 72010 72490 71970 72020 159918  57743735161   174336    72210      45726       50696
##    3: 2011-01-07       cu1104 70800 71510 69420 69780 282776  99817052168   162254    70590      44175       46087
##    4: 2011-01-10       cu1104 70500 70650 69660 70040 158810  55675895658   164086    70110      46033       45725
##    5: 2011-01-11       cu1104 70100 71190 69920 70920 197066  69610651865   175994    70640      48396       47638
##   ---                                                                                                             
## 1482: 2017-02-13       cu1704 47800 50620 47780 50120 616476 152750689200   245852    49550      74851       84379
## 1483: 2017-02-14       cu1704 49820 50250 49660 50110 347374  86753189300   265978    49940      77684       91102
## 1484: 2017-02-15       cu1704 50090 50290 48290 48740 512812 125951072300   229176    49120      68695       81189
## 1485: 2017-02-16       cu1704 48740 49380 48510 48680 376604  92212261600   228912    48970      68663       80902
## 1486: 2017-02-17       cu1704 48600 48960 48170 48360 375026  91148098400   227192    48600      68524       81188
##       netAmount lead_1d_Close lead_5d_Close        lead_1d_Rtn       lead_5d_Rtn
##    1:     -2916         72020         71360  0.010381593714927  0.00112233445567
##    2:     -4970         69780         71690 -0.031102471535685 -0.00458206053874
##    3:     -1912         70040         71550  0.003725995987389  0.02536543422184
##    4:       308         70920         71290  0.012564249000571  0.01784694460308
##    5:       758         71360         72000  0.006204173716864  0.01522842639594
##   ---                                                                           
## 1482:     -9528         50110         48770 -0.000199521149242 -0.02693535514765
## 1483:    -13418         48740         48920 -0.027339852324885 -0.02374775493913
## 1484:    -12494         48680         48660 -0.001231021748051 -0.00164136233073
## 1485:    -12239         48360         48390 -0.006573541495481 -0.00595727198028
## 1486:    -12664         48770         47760  0.008478081058726 -0.01240694789082
p <- ggplot(dt, aes(TradingDay,close)) +
  geom_line(color = 'steelblue')
ggplotly(p)
source("/home/william/myCodes/myFunctions/gMeanPlot.R")
gMeanPlot(dt, x = 'netAmount', y = 'lead_5d_Rtn'
      ,xgn = 40, ygn = 1, xtype = 'continuous',
          title = paste('5-days leading Return vs netAmount',':==>',bkTestingProduct))

关联上下游上市公司

projectPath <- "/home/william/myCodes/oiRank/"
source(paste0(projectPath,"R/oiRank_AshareCompany.R"))
## [1] "Correlation of Close Price"
##       stockID stockName IndustryID        corClose       corRtn_1d        corRtn_5d
##  1: 000960.SZ  锡业股份   upStream  0.778507596451 0.3374221114507 0.28323220200240
##  2: 601958.SH  金钼股份   upStream  0.784394197823 0.2854219009449 0.25730999053682
##  3: 000622.SZ   *ST恒立 downStream -0.790418769661 0.1064792149194 0.00155525542239
##  4: 002617.SZ  露笑科技 downStream -0.851984152682 0.1540363047274 0.08469810668714
##  5: 002636.SZ  金安国纪 downStream -0.775300017343 0.0964560811976 0.01697523975816
##  6: 002670.SZ  国盛金控 downStream -0.817762132701 0.1248304212343 0.01101132231098
##  7: 002686.SZ    亿利达 downStream -0.803162842881 0.0648296173707 0.04583840849389
##  8: 300222.SZ  科大智能 downStream -0.787794761092 0.0747955383047 0.03031561083870
##  9: 300252.SZ    金信诺 downStream -0.815718387499 0.1182727857431 0.08442591578664
## 10: 300585.SZ  奥联电子 downStream  0.843227221715 0.0939051445246 0.08032421549158
## [1] "Correlation of Return on Close Price"
##       stockID stockName IndustryID        corClose        corRtn_1d        corRtn_5d
##  1: 000630.SZ  铜陵有色   upStream  0.622112373139  0.4200203625422  0.4010666922938
##  2: 000878.SZ  云南铜业   upStream  0.556430967725  0.3795281436133  0.3051866439300
##  3: 000960.SZ  锡业股份   upStream  0.778507596451  0.3374221114507  0.2832322020024
##  4: 600497.SH  驰宏锌锗   upStream  0.687385575274  0.3298276740626  0.3506396245171
##  5: 601168.SH  西部矿业   upStream  0.668606943499  0.3105734195787  0.2600905328074
##  6: 601958.SH  金钼股份   upStream  0.784394197823  0.2854219009449  0.2573099905368
##  7: 002639.SZ  雪人股份 downStream -0.763056517650  0.0529934905512  0.0647732775467
##  8: 002647.SZ  宏磊股份 downStream -0.589995244343  0.0553637011878  0.0401820625585
##  9: 002686.SZ    亿利达 downStream -0.803162842881  0.0648296173707  0.0458384084939
## 10: 002778.SZ  高科石化 downStream  0.376647166181 -0.0227584367890 -0.0336813481221
## 11: 603186.SH  华正新材 downStream  0.703782292487 -0.0555953059805 -0.2367598387633
ggplotly(p1)
ggplotly(p2)

期货公司持仓变化

## [1] "Correlation of Change in LongPosition and nDay Return"
## [1] "Correlation of Change in ShortPosition and nDay Return"
## [1] "Correlation of Change in LongPosition and nDay Return"
## [1] "Correlation of Change in ShortPosition and nDay Return"

期货公司持仓相对强弱

##     totalLongPos totalShortPos
## 1: 3.25431341049 3.21779037387